Thud

There are three events in NetHack which will cause you to "hear a thud":

A monster slips out of its body armor as a result of being polymorphed. This could indicate that there is a polymorph trap, a lycanthrope, or a monster with a wand of polymorph somewhere on the level ("You hear a thud").

A trap door has been locked outside of your view ("You hear a twang followed by a thud")

You attempt to level teleport to level 0 ("You scream in agony as your body begins to warp... You cease to exist. Your possessions land on the floor with a thud.").